Didisheim, Antoine - 2020
introducing a new structural approach: deep replication. With this method, we extract the risk aversion of S&P500 options per … contract and per day. Cross-sectionally, we show the existence of a risk aversion smile reminiscent of the Black …-Scholes volatility smile. Across time, we measure a change following 2008, with put options exhibiting a higher average risk aversion …